SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Credit Risk Factor Modeling and the Basel Ii IRB Approach
16 references·0 citing·32 second hopsampled
Credit Risk Factor Modeling and the Basel Ii IRB Approach (2016)Credit Risk Factor Modeling and the Basel…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Pricing the risks of default (1998)Pricing the risks of defaultPortfolio Credit Risk (1998)Portfolio Credit RiskOn cox processes and credit risky securities (1998)On cox processes and credit r…Credit risk measurement: Developments over the last 20 years (1997)Credit risk measurement: Deve…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Modern Portfolio Theory and Investment Analysis. (1982)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)An equilibrium characterization of the term structure (1977)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 1997Credit risk measurement: Developments over the last 20 years806 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1998Pricing the risks of default469 cited
  • 1998Portfolio Credit Risk

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

362 cited

Cited by

No citing works inside the corpus for this window.